Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 8 10 7
Score -2.78 -0.85 -3.6
Market Cap (Millions USD) 103.8 98.84 112.91
Predicted Beta 0.5 0.52 0.53
Idiosyncratic Volatility 1.85 2.24 2.72

Annualized return and volatility

JPXN
Annualized Return 0.0405
Annualized Std Dev 0.2061
Annualized Sharpe (Rf=0%) 0.1965

Row

Daily Return Statistics

JPXN
Observations 4650.0000
NAs 464.0000
Minimum -0.0834
Quartile 1 -0.0060
Median 0.0000
Arithmetic Mean 0.0002
Geometric Mean 0.0002
Quartile 3 0.0068
Maximum 0.1483
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0130
Skewness 0.1932
Kurtosis 8.3712

Downside Risk

JPXN
Semi Deviation 0.0093
Gain Deviation 0.0092
Loss Deviation 0.0096
Downside Deviation (MAR=210%) 0.0141
Downside Deviation (Rf=0%) 0.0091
Downside Deviation (0%) 0.0091
Maximum Drawdown 0.5498
Historical VaR (95%) -0.0207
Historical ES (95%) -0.0304
Modified VaR (95%) -0.0182
Modified ES (95%) -0.0212
From Trough To Depth Length To Trough Recovery
2006-05-10 2009-03-09 2017-05-05 -0.5498 2815 727 2088
2002-05-28 2003-04-28 2003-10-03 -0.3387 351 238 113
2018-01-29 2018-12-24 NA -0.2375 490 233 NA
2001-10-29 2002-02-06 2002-03-07 -0.1995 91 71 20
2004-04-06 2004-05-17 2005-09-01 -0.1935 360 30 330

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec JPXN
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA 0.5 0.0 0.0 0.5
2002 -1.0 3.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.2 0.0 0.0 3.2
2003 0.0 0.0 0.0 0.0 0.0 1.3 -0.9 0.0 3.2 0.0 2.6 0.0 6.3
2004 0.0 2.7 0.8 0.0 -1.1 -1.3 0.0 0.5 2.3 0.0 1.0 0.0 5.0
2005 0.3 0.8 -0.4 0.0 1.0 -0.1 0.8 1.0 0.0 1.3 2.2 0.0 7.2
2006 -1.1 0.7 0.0 0.2 0.8 0.0 -1.2 0.7 0.0 0.0 -0.4 0.0 -0.2
2007 1.3 -0.6 0.0 0.4 0.5 0.0 -1.2 0.0 0.8 -1.3 0.0 0.0 -0.1
2008 0.7 0.0 2.6 0.5 0.0 0.0 -1.0 0.0 -0.8 0.0 -6.9 0.0 -5.0
2009 0.0 0.0 2.8 1.3 1.3 0.8 0.0 -1.1 -2.3 0.0 3.2 0.0 5.9
2010 0.9 0.6 1.5 0.0 -0.2 0.2 0.0 2.2 -0.1 -1.0 2.0 0.0 6.2
2011 1.9 -0.1 -0.2 0.0 -1.2 0.6 -0.6 -0.6 0.0 -1.5 -1.3 0.0 -3.0
2012 1.0 0.1 0.0 -0.8 -2.6 0.0 -1.0 0.0 0.2 1.5 0.0 0.0 -1.6
2013 -0.3 0.8 -3.8 -1.1 0.0 1.0 3.6 0.0 -0.3 -1.7 0.0 0.0 -1.9
2014 0.0 0.0 -0.1 1.2 0.0 1.3 0.0 0.0 -1.1 0.0 0.4 0.0 1.8
2015 0.0 0.0 0.1 1.1 1.1 0.6 0.0 -5.4 1.1 0.0 0.3 0.0 -1.2
2016 0.5 2.3 -2.3 0.0 0.0 -0.1 0.1 1.1 0.0 -0.5 -0.9 0.0 0.2
2017 0.8 1.3 0.0 0.4 0.7 0.0 0.8 -0.2 0.0 0.6 -0.8 0.0 3.7
2018 0.8 -2.7 0.0 -0.5 0.7 0.0 0.3 0.0 0.5 -0.4 0.0 0.0 -1.3
2019 -0.5 0.4 1.5 -0.4 0.0 1.4 -0.2 0.0 -0.8 1.1 0.0 -0.4 2.1

Row

Rolling Performance Chart

Snail Trail Chart